Trading Strategies using Greeks

Options & Futures
1

Hi Team,

I have been looking for Trading Strategies using Greeks and got introduced to Gamma Scalping. In the video, it was mentioned that there are various other strategies using greeks. Could you suggest some, so that I would start working on the same.

 

2

Suggestion for strategies using Greeks are -

Vega Strategies

  1. Dispersion trading

This strategy is a play of implied correlation which is assumed to be mean reverting. Implied correlation is calculated as index volatility divided by index constituents’ volatility.

  1. Forward Volatility trading

This strategy aims to profit from difference in volatility of call (or put) on same strike, same underlying asset but with different time to expiry.

  1. Volatility Smile trading

A volatility smile strategy aims to exploit the skew in the volatility smile curve.

  1. Volatility skew

A volatility skew combined with other indicators can be used to predict market movements.

Delta Strategies

  1. Vertical Spread:

The strategy aims to profit from small market movements and at the same time lowering set up cost.

  • Bull call spread
  • Bear put spread

Theta and Vega Strategies

  1. Calendar Spread

This strategy is used when you expect the implied volatility of the options to increase.

Some of these strategies are discussed in Options Trading Strategies In Python: Basic course